Scriptiegegevens

This thesis studies the effect of oil price changes and the stock market returns in 26 countries
comprising oil exporter and importer as well as developed and developing countries covering
period of January 2000 to March 2016. Using ARDL approach, bound test results show the
existence of a long-run relationship between excess stock market returns, oil price changes and
other explanatory variables in all countries. The study discovers that oil price changes have
significant negative long-term effect on stock market returns in oil importing countries except
Austria, Netherlands and South Africa. On the other hand, oil price changes influence stock market returns positively and significantly in the long run in oil exporting countries. Meanwhile, the level of development of country found to be unrelated towards the magnitude of the relationship